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Constraint Aggregation in Infinite-Dimensional Spaces and Applications

Arkadii V. Kryazhimskii, Andrzej Ruszczyski

Mathematical Steklov Institute, Russian Academy of Sciences, Gubkina 8, GSP-1, 117966 Moscow, Russia
RUTCOR and Department of Management Science and Information Systems, Rutgers University, Piscataway, New Jersey 08854
rusz{at}rutcor.rutgers.edu

An aggregation technique for constraints with values in Hilbert spaces is suggested. The technique allows us to replace the original optimization problem by a sequence of subproblems having scalar or finite-dimensional constraints. Applications to optimal control, games, and stochastic programming are discussed in detail.

Key Words: Constrained optimization in vector spaces; aggregation; optimal control; games; stochastic programming
History: Received: October 2, 1999; revision received: June 9, 2000;